Call rates stayed above repo rate on tight liquidity

The interbank call money rate traded above the repo rate of 8% for most of the week as liquidity remained tight. The overnight borrowing rate, however, ended at 8.00% on December 19 as against 7.85-8.00% on December 12. Demand for funds was strong due to payment towards advance tax outflows. However, a sharp rise in the call rates was restricted as the RBI infused liquidity in the market via series of repo rate auctions during the week. The banking regulator infused liquidity to the tune of Rs 1.55 lakh cr through a repo auction on every day of the week (four overnight and one of three-day tenor in the week's last session).

Gilt prices ended down due to fall in the rupee

Gilt prices were highly volatile tracking sharp movements in the Indian currency. The benchmark 8.40% 2024 gilt ended at 7.96% on December 19 as against 7.83% on December 12. Bond market onset the week on a weaker note due to a sharp downfall in the rupee due to global factors. Sentiment for bonds dented further as persistent fall in the rupee led to concerns of heavy FIIs selling in Indian debt positions. Bond prices also came under pressure on view that a weak rupee may deter the RBI from cutting interest rates in the near term. However, further fall in bond prices was restricted after the rupee recovered later in the week. Market sentiment improved after the US Fed adopted a dovish tone in its policy statement announced on December 17.

ZCYC curve shifted upward at short end

ZCYC curve shifted upward at short end due to a sharp rise in yield of short term maturity bonds however at longer end the curve remained flat.

Source: NSE

AAA Corporate Bond Yields and Spread

Yield

Spread

17-Dec

10-Dec

17-Dec

10-Dec

1 year

8.59

8.39

0.25

0.01

3 year

8.61

8.45

0.39

0.36

5 year

8.65

8.55

0.42

0.43

10 year

8.60

8.43

0.38

0.28

Data with two day lag

Government Borrowing Programme (Rs. Cr.)

Budgeted G-Sec Gross Borrowings for 2013-14

592000

Budgeted G-Sec Net Borrowings for 2012-13

465727

Budgeted Redemptions

126273

G-Sec Gross Borrowings till Date

497000

G-Sec Gross Borrowing Completed (%)

83.95%

Maturities till date

84464

Net G-Sec Borrowings till date

412536

364 Day T-Bill Gross Borrowings till date

110000

OMO Purchases till date

10345

SDL auction till date

144256

Term of the week

Broken period – It is the price of the bond excluding Accrued interest. The trading in the Wholesale Debt market takes place at this price.

Call rates stayed above repo rate on tight liquidity

The interbank call money rate traded above the repo rate of 8% for most of the week as liquidity remained tight. The overnight borrowing rate, however, ended at 8.00% on December 19 as against 7.85-8.00% on December 12. Demand for funds was strong due to payment towards advance tax outflows. However, a sharp rise in the call rates was restricted as the RBI infused liquidity in the market via series of repo rate auctions during the week. The banking regulator infused liquidity to the tune of Rs 1.55 lakh cr through a repo auction on every day of the week (four overnight and one of three-day tenor in the week's last session).

Gilt prices ended down due to fall in the rupee

Gilt prices were highly volatile tracking sharp movements in the Indian currency. The benchmark 8.40% 2024 gilt ended at 7.96% on December 19 as against 7.83% on December 12. Bond market onset the week on a weaker note due to a sharp downfall in the rupee due to global factors. Sentiment for bonds dented further as persistent fall in the rupee led to concerns of heavy FIIs selling in Indian debt positions. Bond prices also came under pressure on view that a weak rupee may deter the RBI from cutting interest rates in the near term. However, further fall in bond prices was restricted after the rupee recovered later in the week. Market sentiment improved after the US Fed adopted a dovish tone in its policy statement announced on December 17.

ZCYC curve shifted upward at short end

ZCYC curve shifted upward at short end due to a sharp rise in yield of short term maturity bonds however at longer end the curve remained flat.

Source: NSE

AAA Corporate Bond Yields and Spread

Yield

Spread

17-Dec

10-Dec

17-Dec

10-Dec

1 year

8.59

8.39

0.25

0.01

3 year

8.61

8.45

0.39

0.36

5 year

8.65

8.55

0.42

0.43

10 year

8.60

8.43

0.38

0.28

Data with two day lag

Government Borrowing Programme (Rs. Cr.)

Budgeted G-Sec Gross Borrowings for 2013-14

592000

Budgeted G-Sec Net Borrowings for 2012-13

465727

Budgeted Redemptions

126273

G-Sec Gross Borrowings till Date

497000

G-Sec Gross Borrowing Completed (%)

83.95%

Maturities till date

84464

Net G-Sec Borrowings till date

412536

364 Day T-Bill Gross Borrowings till date

110000

OMO Purchases till date

10345

SDL auction till date

144256

Term of the week

Broken period – It is the price of the bond excluding Accrued interest. The trading in the Wholesale Debt market takes place at this price.